Suppose a stock, not paying any dividend, is currently trading at $50. The annual volatility of its price is 31.55%. This implies that in a one period binomial tree model the stock price will either be $62.5 or $40 in six months. The annual interest rate is 5% with continuous compounding. Consider a European call option with strike price equal to $50 and maturity in six months.

1. In the one period binomial tree model, what is the portfolio of the stock and the bond which replicates the payoff of the call? What is the fair value of the call today?

Please show steps on how to solve Delta = .556 and B = -21.68.

Thanks